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st: RE: Newey west


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Newey west
Date   Wed, 10 Dec 2008 14:54:19 -0000

Alice,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Alice
> Sent: Wednesday, December 10, 2008 1:18 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Newey west
> 
> Hi,
> 
> I am trying to use the command -newey- using panel data and I 
> include fixed effects. However this does not work (Stata 
> tells me that my year variable is not regularly spaced).
> 
> Any suggestions? What does the error message mean? My sample 
> is however balanced over time so I have the same number of 
> observations in each year.

It sounds like you have some gaps in your time series.  I think -newey-
doesn't like gaps.

-xtivreg2- supports Newey-West SEs (also known as the Bartlett kernel)
with straight fixed effects panel data estimation and no endogenous
regressors, i.e., your case.  It's available from ssc-archives in the
usual way, i.e.,

ssc install xtivreg2

You'll also need to install -ivreg2- and -ranktest- in the same way.
-ivreg2- supports the same estimation without fixed effects (-xtivreg2-
is basically a wrapper for -ivreg2-).

Hope this helps.

Cheers,
Mark (author/coauthor of xtivreg2, ivreg2, ranktest)

Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University
Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3296 fax
http://ideas.repec.org/e/psc51.html


> 
> Thanks, Alice.
> 
> 
>       
> 
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